Application of Archimedean Copulas in Risk Analysis for Stock Markets

摘要：

This paper discusses the application of Archimedean Copulas in financial market risk calculation, using Archimedean Copula to calculate the risk of different portfolio. After estimating the Archimedean Copula, we use Monte Carlo simulation method to simulate daily returns of Shenzhen Stock Composite Index (zz399106) and Shenzhen Stock Component Index (cz399001) and then calculate portfolios VaR and conditional VaR.(CVaR). The real analysis indicates that the copula theory and copula based VaR and CVaR methods do better in the risk management than the normal hypothesis.

关键词： Archimedean Copulas VaR CVaR Risk analysis

作者: Danqin Zhuang Ling Lu Zhongzhi Wang

作者单位: Faculty of Mathematics & Physics, Anhui University of Technology, Maanshan, 243002 Yangtze College, East China University of Technology, Nanchang, 330013

会议类型: 国际会议

会议名称: 2010 International Conference on Probability and Statistics of the International Institute for General Systems Studies(国际一般系统理论研究会中国概率统计学会第二届学术会议IIGSS-CPS2010)

会议地点: 南京

会议语种:英文

页码: 146-149

在线出版日期: 2010-07-29（万方平台首次上网日期，不代表论文的发表时间）